Fri, Nov 28, 2014
A A A
Welcome Guest
Free Trial RSS
Get FREE trial access to our award winning publications
New Managers April 2012

Peter Urbani' Statistics
Peter Urbani's quantitative analysis of emerging managers' performance

Performance Drivers of the Opalesque Emanagers Index

This month we examine the performance drivers of the Emerging Managers Index by treating it as if it were a portfolio or fund of funds and performing an attribution analysis on the constituent sub-indices mapped to the Dow Jones Credit Suisse Hedge Fund Strategies.

The results are instructive and give a fairly clear indication as to where the excess performance of the Emanagers Index has come from.

Over the 3.25 year period since Jan 2009 the Emanagers index has delivered a +14.7% compound annual return (CAGR ) versus the +8.91% of the benchmark Dow Jones Credit Suisse Blue Chip Hedge Fund Index.

To the extent that the Index is a semi-passive portfolio whose Strategy Asset Allocation is largely determined by market forces one might expect that there would be a significant Allocation or market timing effect driving returns. However, this is not the case for the Emanagers Index and the allocation effects relative to the benchmark portfolio are in fact -1.74% p.a. This probably reflects the lagged momentum effect of new funds being launched in recently strong performing areas.

In contrast the Selection effect is +4.18% p.a. suggesting a high quality of funds coming into the index and that it is not merely dominated by past winners.

The Emanagers index has significantly higher weightings to Managed Futures ( 30.4% v.s. 16.4), Equity L/S ( 33.9% v.s. 15.9%) and significantly lower weightings in Event Driven ( 3.5% v.s. 21.4%) and Emerging Markets ( 0% ) and Convertible Arbitrage.

 

Emerging Manager Strategy weights versus Benchmark

Emer......................

To view our full article please login

This article was published in Opalesque's New Managers a top-down monthly analysis, news and research publication on the global emerging manager space.
New Managers
New Managers
New Managers

Today's Exclusives Today's Other Voices More Exclusives
Previous Opalesque Exclusives                                  
More Other Voices
Previous Other Voices                                               
Access Alternative Market Briefing


  • Top Forwarded
  • Top Tracked
  • Top Searched
  1. Unlucky Paulson & Co. rebrands $1.6bn Recovery Fund after 13% drop[more]

    From Businessweek.com: A maturing U.S. economic recovery is prompting Paulson & Co. to change course. The $19 billion hedge fund firm, led by billionaire John Paulson, told investors on a conference call this month that the Paulson Recovery Fund will be renamed Paulson Special Situations Fund on Jan

  2. Opalesque Roundtable: Islamic Finance races ahead with Sukuk, the first managed account platform, and foreign demand[more]

    Komfie Manalo, Opalesque Asia: A number of developments took place within Islamic finance in the past years, including the launch of a Islamic managed account platform and the further growth of the sukuk space that saw this instrument evolve from being a type of an ABS security that was rarely

  3. CTAs , event-driven strategies lead hedge funds recovery in mid-November[more]

    Komfie Manalo, Opalesque Asia: November’s performance proves to be in sharp contrast to the previous month, with equities further consolidating their upswing last week, according to the latest Lyxor Asset Management’s Weekly Brief. CTA funds als

  4. Fund Profile - A complex hedge fund strategy works for United Technologies[more]

    From Institutionalinvestor.com: Reports that portable alpha is dead have been greatly exaggerated, as Mark Twain might have phrased it. Another Connecticut Yankee, giant United Technologies Corp., is gearing up to grow its successful, nearly decade-long portable-alpha program. The UTC strategy took

  5. Opalesque Exclusive: The unintended consequences of Basel III[more]

    Benedicte Gravrand, Opalesque Geneva: Bijesh Amin, co-founder and managing director of Indus Valley Partners (IVP), a technology solutions and services firm focused on the alternative asset management industry, has recently observed